The Week Ahead
Volume 78 - Close the f**king door
Success is achieved and maintained by those who try and keep trying.
-- W Clement Stone
Not too many complaints for the past week. Trade of the week was a November Gold 1960p bought for ~9 and sold for ~29. With an S&P 4360/4380 put spread on Thursday bought for 3.5 and sold for 17. Friday, I shut up shop early after paying for a 4345p with low conviction; I’d not have called Friday’s +68pt rally in S&P.
Recap on last week’s post
“What to watch this week - Treasury auctions and Fed speakers.”
That 30yr auction was the one to watch…
Was it the Chinese hackers that made the auction go so poorly?
“Rate vol coming off and looking like it’s entering a range means the return of the carry trade… With the market set on the Fed staying higher for longer, a small long on USD/JPY with a target of 155 could work.”
Opened at 149.5
Not a single red day for the cross last week
“Gold is overbought, 1) due to hedging for an escalation in the Middle East and 2) the hedging has then been emphasised by systematic participants. CTAs on a two-year lookback are nearly max long.
There are a few ways to trade downside - sell call spreads, buy put spreads or buy straight puts. This will be decided today.”
As mentioned before in the post - we bought the Nov 1960p for 9 and sold for 29.
“Looking at it from a technical standpoint, ES1 looks as if it could explore 4420-4450 this week”
Correct
“But we have many Fed speakers who I can only assume will attempt to talk the markets back down - if this came to fruition we could trade south of 4300.”
Not so correct
“With the 20-year CUSIP such a significant weight on my book, it held the fort for the week whilst my equity net was LOW!!! Saying this, we could look at tactically shorting tsy futures to hedge for any turmoil after those auctions.”
Correct
5d Performance…
RSP -59bps
SPX +131bps
NDX +285bps
IWM -308bps
BBDXY +76bps
GBP/$ -124bps
AUD/$ -233bps (RBA hiked 25bps, nearly unwound all of prior week's gains)
EUR/$ -42bps
TWI Eur +22bps
TWI JPY -104bps (YTD now -13.15%)
GC -308bps
WTI -415bps
Copper -257bps
10yr +7bp
MAGMA +443bps
GS Most Short -990bp
GS Non-Profitable Tech -608bps
GS Quality +304bps
Anyway… here are the usual charts
Friday’s final headlines
*United States Outlook to Negative From Stable by Moody’s *Moody’s: Downside Risks to US’ Fiscal Strength Have Increased
Fun fact for the flow guys…
QYLD will need to cover their (ITM) Nov NDX call this week; the day after, they will sell a fresh call. Median performance on day of unwind +30bp vs day of new call being sold -70bp.